Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Sep 25 (1D) | Sep 26 (2D) | Sep 29 (5D) | Sep 30 (6D) | Oct 01 (7D) | Oct 02 (8D) | Oct 03 (9D) | Oct 06 (12D) | Oct 07 (13D) | Oct 08 (14D) | Oct 10 (16D) | Oct 17 (23D) | Oct 24 (30D) | Oct 31 (37D) | Nov 07 (44D) | Nov 14 (51D) | Nov 21 (58D) | Nov 28 (65D) | Dec 05 (72D) | Dec 12 (79D) | Dec 19 (86D) | Dec 26 (93D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 655.019 | 652.655 | 647.965 | 646.747 | 645.627 | 644.585 | 643.606 | 640.958 | 640.150 | 639.374 | 637.900 | 633.358 | 629.470 | 626.015 | 622.873 | 619.974 | 617.267 | 614.719 | 612.305 | 610.006 | 607.807 | 605.695 |
| upper | 666.431 | 668.795 | 673.485 | 674.703 | 675.823 | 676.865 | 677.844 | 680.492 | 681.300 | 682.076 | 683.550 | 688.092 | 691.980 | 695.435 | 698.577 | 701.476 | 704.183 | 706.731 | 709.145 | 711.444 | 713.643 | 715.755 |
| expected move | 5.706 | 8.070 | 12.760 | 13.978 | 15.098 | 16.140 | 17.119 | 19.767 | 20.575 | 21.351 | 22.825 | 27.367 | 31.255 | 34.710 | 37.852 | 40.751 | 43.458 | 46.006 | 48.420 | 50.719 | 52.918 | 55.030 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
